In this paper, we examine the impact of scheduled macroeconomic news announcements on both OEX index options and individual equity option volume. We do this in order to study the way in which investors use these options in their portfolios. We find that announcements are associated with an...

In this article, we examine the impact of 21 different types of scheduled macroeconomic news announcements on S&P 100 stock‐index option volume and implied volatility. We find that there is a 2‐h delay after the announcement before volume increases. However, there is an immediate increase in...